Excel 2010 - Data source reference is not valid

Problem
In Excel 2010, when you try to create a pivot table it give the following error message:
Data source reference is not vaild

Solution
Often this happens because you opened a CSV or other data file directly from another program.

Make sure you save your data file first, before you attempt to create a pivot table. It will work if it is a saved csv, xls, xlsx, etc.